I think it's that religions regard themselves as, er sacrosanct, and therefore it's infra dig to criticise them.
I had a couple of JWs in the kitchen for nearly three hours once, debating the niceties of the various biblical translations. They were a pleasant enough couple, if a little ill-informed and rather dim, but I regarded it as my civic duty to save them from bothering the neighbours. i think I even had one of them doubting his faith, but his oppo was determined to keep him strong.
What added a rather surreal touch to it was that my daughter was watching The Wicker Man on video in the adjoining room, so I had Britt Eckland's body-double gyrating in the buff over their shoulders at one point.
On the whole, however, I do wish people wouldn't feel compelled to knock on doors to tell people about their imaginary friends. The brighter ones can provide some diversion, but the dimmer ones (the majority, in my experience), just recite stuff they've learned by rote and, in extremis, simply insist that it's in scripture so it must be true. Life's too short to be abusive to them, however. They're more to be pitied than scorned (to use a nice biblical phrase).